Fluctuation Dynamics of Exchange Rates on Indian Financial Market
Here we investigate the scaling behavior and the complexity of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Our analysis revealed that the average daily exchange rate return of the Indian Rupee against the US Dollar exhibits a persistent scaling behavior and follow Levy stable distribution. On the contrary the average daily exchange rate returns of the other three foreign currencies show randomness and follow Gaussian distribution. Moreover, it is seen that the complexity of the average daily exchange rate return of the Indian Rupee against US Dollar is less than the other three exchange rate returns.
KeywordsExchange Rate Foreign Currency Foreign Exchange Market Indian Financial Fluctuation Dynamics
Unable to display preview. Download preview PDF.
- 1.Mantegna RN, Stanley HE (2000) An Introduction to Econophysics. Cambridge University Press, CambridgeGoogle Scholar
- 2.Reserve Bank of India, www.rbi.org.inGoogle Scholar
- 3.Scafetta N (2001) An Entropic Approach to the Analysis of Time Series. PhD Thesis, University of North TexasGoogle Scholar
- 7.Richman JS, Moorman JR (2000) Am. J. Physiol. Heart Circ. Physiol. 278:H2039Google Scholar